Are you sure the DSA standard permits keys beyond 1024 bits? I know the original DSS did not. (This has been a source of controversy with the GPG crowd for years -- whether the signing key it generates by default is secure.) FWIW, I just tried your ssh-keygen on my Ubuntu desktop and got the same error.

Could you be thinking of RSA keys, which can be generated in any keylength within reason, and are typically 2048 or 3072?